Journal of

Marketing Development and Competitiveness

Scholar Gateway

Abstracts prior to volume 5(1) have been archived!

Issue 5(1), October 2010 -- Paper Abstracts

Girard  (p. 9-22)

Cooper (p. 23-32)

Kunz-Osborne (p. 33-41)

Coulmas-Law (p.42-46)

Stasio (p. 47-56)

Albert-Valette-Florence (p.57-63)

Zhang-Rauch (p. 64-70)

Alam-Yasin (p. 71-78)

Mattare-Monahan-Shah (p. 79-94)

Nonis-Hudson-Hunt (p. 95-106)

JOURNAL OF APPLIED BUSINESS AND ECONOMICS

The Day-of-the-Week Effect: The CIVETS Stock Markets Case

Author(s): Julio César Alonso Cifuentes, Beatriz Eugenia Gallo Córdoba

Citation: Julio César Alonso Cifuentes, Beatriz Eugenia Gallo Córdoba, (2013) "The Day-of-the-Week Effect: The CIVETS Stock Markets Case," Journal of Applied Business and Economics, Vol. 15, Iss. 3, pp. 102-116

Article Type: Research paper

Publisher: North American Business Press

Abstract:

Finding patterns in the behavior or performance of financial markets has been a subject of interest for

both analysts and academics. We use GARCH and IGARCH models with covariates to estimate the day-

of-the-week (DOW) effect on both volatility and daily returns of the stock exchange markets for the

CIVETS. We found a DOW effect on the daily returns for all of the CIVETS’ stock markets. DOW effect

was also found for the daily returns’ volatility of some of the stock markets. Finally, there is evidence of

lags in the DOW effect for the stock markets we analyze.